Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0703
Annualized Std Dev 0.2282
Annualized Sharpe (Rf=0%) 0.3079

Row

Daily Return Statistics

Close
Observations 3666.0000
NAs 1.0000
Minimum -0.1166
Quartile 1 -0.0049
Median 0.0009
Arithmetic Mean 0.0004
Geometric Mean 0.0003
Quartile 3 0.0065
Maximum 0.1159
SE Mean 0.0002
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0008
Variance 0.0002
Stdev 0.0144
Skewness -0.3411
Kurtosis 10.9212

Downside Risk

Close
Semi Deviation 0.0105
Gain Deviation 0.0103
Loss Deviation 0.0120
Downside Deviation (MAR=210%) 0.0149
Downside Deviation (Rf=0%) 0.0104
Downside Deviation (0%) 0.0104
Maximum Drawdown 0.6337
Historical VaR (95%) -0.0219
Historical ES (95%) -0.0359
Modified VaR (95%) -0.0215
Modified ES (95%) -0.0376
From Trough To Depth Length To Trough Recovery
2007-06-05 2009-03-09 2013-02-01 -0.6337 1427 444 983
2020-02-13 2020-03-23 2021-01-07 -0.4365 228 27 201
2018-01-29 2018-12-24 2019-12-12 -0.2343 473 229 244
2015-05-22 2016-02-11 2016-08-15 -0.1968 311 183 128
2014-09-08 2014-10-13 2014-11-05 -0.0846 43 26 17

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2006 NA NA NA NA NA NA NA 0.4 -0.4 -0.6 -0.2 -0.4 -1.3
2007 0.7 -0.3 0 0.2 0.6 0 0.3 1.2 1.6 -2.5 0.6 -0.5 1.9
2008 2.2 -3 3.7 1.8 0 0.2 -0.1 -0.7 0 2.3 -10.7 2.2 -2.8
2009 -3 -1.5 2.2 0.1 3.6 1.2 0.6 -3 -3.5 -3.2 1.4 -1.2 -6.6
2010 1.5 1.3 1 -1.9 -2.7 -0.8 0.1 3.4 0.4 -0.1 2.1 -0.2 4
2011 1.5 -1.9 0.7 0 -2.3 1.8 -0.8 -1.6 -2.4 -2.9 -0.3 -0.4 -8.4
2012 1.8 0.6 0.2 0.7 -2.8 2.4 -0.4 0.4 0 1.5 0.4 1.7 6.5
2013 0.8 0.2 -0.7 -1.1 -1.2 0.9 1.8 -0.5 0.9 0.2 -0.3 0.5 1.4
2014 -0.6 0.1 0.7 0 0.1 0.6 -0.1 0.3 -1.2 1.3 -1 -1 -0.8
2015 -1.3 -0.2 -0.4 1 0.1 0.6 0.1 -2.9 -0.1 -0.2 0.9 -0.8 -3.2
2016 0.2 1.9 0.3 -0.5 0.3 0.2 -0.5 -0.1 0.8 -0.7 -0.3 -0.3 1.4
2017 -0.1 1.4 0 -0.1 1.2 0.2 0.4 0.6 0.3 0.1 0 -0.5 3.4
2018 -0.1 -0.8 1.3 -0.3 0.7 0.1 -0.9 0.1 -0.2 1.6 0.4 0.9 2.7
2019 0.2 0.5 1.3 -0.9 -1.1 0.6 -1.4 0.3 -1.6 1.3 -0.5 0.4 -0.7
2020 -1.6 -1.9 -5.4 -3.4 1.4 -0.5 -0.1 0.5 0.3 -0.2 1.1 0.8 -8.9
2021 1.6 2.3 -0.2 NA NA NA NA NA NA NA NA NA 3.6

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld    ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>    <dbl>    <dbl>
1 2006-08-24  50.8 SPY    130. -8.00e-4 -0.00290   0.0222   0.015    0.0702    0.297   0.110  GLD    61.8 -1.30e-3   0.0118
2 2006-08-25  50.7 SPY    130.  1.20e-3 -0.0067    0.0245   0.0111   0.0676    0.297   0.102  GLD    61.8  3.00e-4   0.012 
3 2006-08-28  51.1 SPY    130.  4.80e-3  0.0023    0.0191   0.0343   0.0801    0.302   0.126  GLD    61   -1.25e-2  -0.0231
4 2006-08-29  51.3 SPY    131.  1.20e-3  0.0035    0.0214   0.0241   0.0731    0.296   0.116  GLD    60.9 -1.00e-3  -0.0179
5 2006-08-30  51.4 SPY    131.  6.00e-4  0.0069    0.027    0.015    0.0794    0.288   0.121  GLD    61.4  7.90e-3  -0.0066
6 2006-08-31  51.6 SPY    131. -2.00e-4  0.0076    0.02     0.0127   0.0658    0.271   0.0976 GLD    62.3  1.42e-2   0.0087
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart